First of all, I must warn that Go artificial intelligences aren't as brilliant as chess or other games; in fact, Go is one of the two games were humans beat easily computers. So, they are ok for beginners, and fun for adept, but they make mistakes a human would never make and, therefore, players who often play computers tend to have some bad habbits.
I'm working on Ubuntu (developed from Debian, and using Gnome), just in case you wanted to know. Some of the Go programs for windows can be used under emulators like Wine or Cedega, but I don't recommend doing so, mainly because the decrease of speed in the game.
Here I'll comment the ones I've tried:
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Gnu Go: A MUST. This is one of the best artificial intelligences out there for free.
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Cgoban1: The first Cgoban (now developed for KGS) has a weak appearance and it's not comfortable while checking variations.
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glGo: One of the best viewers for free has some bugs when it comes to Linux. Preferences window doesn't appear, some items at the menu are "empty" (they are there, you can click, but you won't see what you are clicking on till you've done it), editing buttons doesn't work either. But it's got a nice look and a great tree view. And it's got the player-manager plugin to track your games and your friends'. This one is very useful to view games with multiple variations and comments.
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qGo: One of the latest discoveries, it works with IGS and it also allows you to play against Gnugo or replay any game. It's got good marks on everything: nice stones, nice windows layout. The only drawback of this program is the lack of 3D graphics and, most important, the tree. Currently this is the one I'm using for playing against GnuGo.
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Quarry: It's got a really impressive tree and it's fully compatible with unix systems. The problem is that I don't really like this "browny-white" stones. It doesn't allow you to play through internet.
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Jago: Sorry, but I still don't like the variations system. It's not a bad interface if you are used with this kind of trees.
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Kombilo: This is available both for windows and linux, it's not a playing program,
it's a go database program. Its main purpose is to search for games in which a given pattern or position occurs. You can also search for other criteria (like time period, players, events). (extracted from Kombilo's site). So, for example, if during a game you find a position where you don't know what to do, you can check what professional players did by analysing your collection of professional games. The games aren't included, you must get them from somewhere else.
-Hikarunix: a live CD distro of Linux based on Go, though you can install it too. It's got around 12 go tools, including some of the mentioned above, a snapshot of Sensei's Library ...
For not Linux users: you can try this without uninstalling your current system, just download the file, burn it into a CD and reboot your computer. Once it is rebooting, insert the CD and you'll get to Hikarunix. It won't modify anything of your original system, if you want to go back to it, just reboot and remove the CD.
My personal experience is that I end up using qGo with GnuGo, and Kombilo for analysing. For playing through internet I prefer KGS site, so I can't really tell about IGS clients.